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Alternative Market Briefing

Currency hedge funds rebound in November with 0.87% gain

Tuesday, January 05, 2016

Komfie Manalo, Opalesque Asia:

Currency hedge funds rebounded in November as the Parker FX Index reported a +0.87% return for the month (+1.81% YTD). At least 29 of the 31 programs in the Index reported November results, of which 20 reported positive results and nine incurred losses.

On a risk-adjusted basis, the Index was up +0.39% in November, Parker Global said. The median return for the month was +0.61%, while the performance for November ranged from a high of +7.03% to a low of -3.16%.

In addition to the broad Parker FX Index, there are two style driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is rule based, and the Parker Discretionary Index, which tracks managers whose decision process is judgmental. During November, the Systematic Index was up +1.44% and the Discretionary Index was up +0.30%. On a risk-adjusted basis, the Parker Systematic Index was up +0.55% and the Parker Discretionary Index was up +0.23%.

The top three performing constituent programs for the month of November on a reported basis, returned +7.03%, +4.48%, and +4.36%, respectively. The top three performers on a risk-adjusted basis returned +2.81%, +2.60% and +2.43%, respectively. The U.S. dollar was up this month as the Federal Reserve implied that a rate raise is likely and as positive economic data supported that sentiment.

Emerging market currencies sa......................

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